Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 31 (1D) Jan 01 (2D) Jan 02 (3D) Jan 05 (6D) Jan 06 (7D) Jan 07 (8D) Jan 08 (9D) Jan 09 (10D) Jan 12 (13D) Jan 13 (14D) Jan 16 (17D) Jan 23 (24D) Jan 30 (31D) Feb 06 (38D) Feb 13 (45D) Feb 20 (52D) Feb 27 (59D) Mar 06 (66D) Mar 13 (73D) Mar 20 (80D) Mar 27 (87D)
lower 681.908 679.783 678.152 674.47 673.463 672.525 671.645 670.812 668.537 667.839 665.882 661.90 658.468 655.406 652.616 650.035 647.623 645.35 643.195 641.141 639.175
upper 692.172 694.297 695.928 699.61 700.617 701.555 702.435 703.268 705.543 706.241 708.198 712.18 715.612 718.674 721.464 724.045 726.457 728.73 730.885 732.939 734.905
expected move 5.132 7.257 8.888 12.57 13.577 14.515 15.395 16.228 18.503 19.201 21.158 25.14 28.572 31.634 34.424 37.005 39.417 41.69 43.845 45.899 47.865
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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